It seems to be working now. Very Strange.
One interesting note is that it looks like you cannot create access rules based on AD group when using ISE/pxGrid in WSA. It limits to SGT's
So I just needed to edit my policy to add the SGT to the Authorization profile. Works like a charm.
Also setup IP spoofing on the WSA with the reverse WCCP statements on the switch, and FMC shows the actual client IP and not the WSA IP for all web traffic.
Now to get it into production.